Ignacio Díaz-Emparanza

• PhD
• University of the Basque Country

This paper presents a means for the diffusion of the Self-Exciting Threshold Autoregressive (SETAR) model. Based on the Hansen (Econometrica 68(3):675–603, 2000) methodology, we implement a function in gretl with which estimate a SETAR model. The function is provided with a nice graphical user interface that enables the average user to estimate a S...

El objetivo de esta guía es dar unas primeras indicaciones al usuario de Gretl que ya ha utilizado el programa mediante su interfaz gráfica (ventanas y menús) y desea aprender a programar nuevos estimadores, modelos y funciones que Gretl no tiene implementados y, por tanto, no están accesibles por medio del menú. Se puede considerar que es un compl...

The seasonal stability tests of Canova and Hansen (1995) (CH) provide a method complementary to that of Hylleberg et al. (1990) for testing for seasonal unit roots. But the distributions of the CH tests are unknown for small samples. We present a method for numerically computing critical values and P-values for the CH tests for any sample size and...

When working with time series data observed at intervals smaller than a year, it is often necessary to test for the presence of seasonal unit roots. One of the most widely used methods for testing seasonal unit roots is that of HEGY, which provides test statistics with non-standard distributions. This paper describes a generalisation of this method...

We consider the problem of using the points a given team has in the First Division Spanish Soccer League to estimate its probabilities of achieving a specific objective, such as, for example, staying in the first division or playing the European Champions League. We started thinking about this specific problem and how to approach it after reading t...

We cannot ignore that anti-immigration parties are becoming essential players in present democracies. But, how concerned should we be with the effects of immigration on the host economy? According to estimates, integration is the main asset of the Spanish immigration policy: in the long term, immigrants are legally indistinguishable; hence, they pr...

This paper analyzes the relationship between the international immigration rates and the unemployment rate in Spain for the period 1981–2016. During this period, immigration and employment grew rapidly, but in 2008, the Spanish economy collapsed with a significant increase in unemployment. This paper shows that, due to the characteristics of the mi...

This paper discusses the life cycle model when public insurance programs contaminate the pure stochastic model through the prediction mechanism of permanent income. The contemporaneous causality between income and consumption holds, even in the case of non-rejection of the permanent income hypothesis. A procedure to deal with such a problem is test...

This paper studies the triad “concentration, diversification and dominance” in an ecosystem \((\Omega _{t})\) defined as the macro-fishery comprised by the entire commercial fish species landed in a specific geographical area and time horizon (1986:1–2011:12). This is faced computing alternative monthly concentration indices (CIs) based on the inco...

When working with vectors of time series which fluctuate regularly we may possibly want to consider the presence of common factors characterized by cyclical or seasonal behavior as well as trend. For example, Deaton89 provides a hint of a theoretical model where cointegration at the annual frequency may exist between consumption and income in addit...

In this work we analyze the importance of dynamics in the determination of the distribution of gains from free trade and migration. Given a transition dynamic, free trade might worsen a country relatively to autarchy. Moreover, some individuals might lose welfare during the transition dynamics. In both case, individuals find incentives to migrating...

This note discusses the concept of aliasing and its use in the paper by H.J. Bierens (2001, Econometric Theory 17, 962–983), in the framework of a second-order autoregression with complex unit roots. The condition on the range of the angular frequency [phi] is extended to [phi] [set membership] (0,2[pi]) − {[pi]}. a

SURGAT is a RATS menu-driven program to help in the analysis of the seasonal component and the trend of a (quarterly, monthly or annual) time series. Once the series is selected, a set of simple transformations may be applied: log, regular difference, seasonal difference, regular+seasonal difference, the series without its deterministic trend, with...

Aquí se explica el funcionamiento de los enlaces con TRAMO/SEATS y X12ARIMA de Gretl. Se describe su forma de utilización y la equivalencia entre las entradas de menú de Gretl y los parámetros en línea de instrucciones de TRAMO/SEATS.

Basándose en la literatura existente, en este trabajo se propone una metodología para el estudio gráfico y analítico del componente estacional en una serie temporal. El objetivo del análisis es determinar si el componente estacional responde a un comportamiento determinista o estocástico. Se muestran un conjunto de aplicaciones con series de la CAP...

The consequences of international migration for development in countries of origin and destination remain hotly debated. The immigration flows could be considered an appropriate mechanism to contribute to the development of origin countries if they recognize the qualifications of immigrants or contribute to the acquisition of skills. Correspondence...

The paper decomposes GDP both in terms of level per capita and growth rate, so as to identify the sources of income differences and of economic growth for all EU27 member states. This accounting approach has multiple advantages, although a number of substantial caveats should be borne in mind when interpreting the results. In particular, the detail...

The relationship between the unemployment and the international immigration is getting interest while the differences between poor and rich countries are stressed. The poor countries offer cheap work force to occupy less qualified jobs in rich countries, with citizen increasingly demanding and qualified. In spite of this evidence, the immigration i...

In this paper we study the relationship between the number of replications and the accuracy of the estimated quantiles of a distribution obtained by simulation. A method for testing hypotheses on the quantiles of a theoretical distribution using the simulated distribution is proposed, as well as a method to check the hypothesis of consistency of a...

La relacion entre el desempleo y la inmigracion internacional cobra interes a medida que las diferencias entre paises pobres y ricos se acentuan. Los paises pobres ofrecen mano de obra barata para ocupar puestos de trabajo poco cualificados en paises ricos, con ciudadanos cada vez más exigentes y cualificados. Pese a esta evidencia, la inmigracion...

In order to approach a distribution by means of simulation it is necessary to determine a number of replications. The accuracy with which the distribution is calculated will rely on this number of replications. In this work, a relationship between the number of replications and the accuracy of the estimate is obtained, so that if it is wanted to ge...

This paper extends the method proposed in Lee (1992) for quarterly nonstationary data, considering the estimation and testing for seasonal cointegration relationships when dealing with strongly seasonal monthly data. The testing procedure is based on the maximum-likelihood estimation of the 'error correction mechanism' for the vector of series cons...

El presente trabajo extiende el procedimiento propuesto por Lee(1992) para el caso de datos trimestrales, pretendiendo considerar la estimación y contraste de las relaciones de cointegración estacional cuando se analizan datos de periodicidad mensual fuertemente estacionales. El procedimiento de contraste está basado en la estimación por máxima ver...

Para aproximar una distribución de probabilidades por medio de simulación es necesario determinar un número de replicaciones. La precisión con que se estima la distribución dependerá de dicho número de replicaciones. En este trabajo se obtiene una relación entre el número de replicaciones y la precisión de la estimación, de manera que si se desea o...